Global Food Prices and Inflation

Christina Anderl and Guglielmo Maria Caporale

No 10992, CESifo Working Paper Series from CESifo

Abstract: This paper uses the endogenous regime switching model with dynamic feedback and interactions developed by Chang et al. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global food market. Both are then included in structural VAR models to examine their effects on domestic food price inflation for a range of countries with different food shares in total consumption and in the CPI basket. Next, counterfactual analysis is carried out to assess the effects on core inflation. The results suggest that both global food price mean and volatility shocks have sizeable effects on food price inflation in all countries and persistent second-round effects on core inflation in most countries. An extension of the analysis using disaggregate global food price data shows that the existence of second-round effects is independent of the size of the response of domestic food inflation to global food price shocks. These findings imply that policymakers should distinguish carefully between the two types of global food price shocks (namely mean or volatility) and their effects on core inflation to formulate appropriate policy responses.

Keywords: food price volatility; core inflation; endogenous regime switching; second-round effects (search for similar items in EconPapers)
JEL-codes: C13 C58 E31 Q10 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-agr, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp10992.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_10992

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().